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Future Business Journal

Table 4 Test of significant increases in correlation coefficients (USA as the source of contagion).

From: Analysis of financial contagion in influential African stock markets

 

Correlation before crisis

Correlation during crisis

Correlation after crisis

Adjusted correlation after crisis

Z-statistics (unadjusted)

Z-statistics (adjusted)

USA as the source

 USA–EGYPYT

0.8803

0.5571

0.6910

0.6221

 − 3.012***

2.201**

 USA–NIGERIA

0.5581

0.5623

0.7893

0.7313

3.901***

0.231

 USA–SOUTHAFRICA

0.8645

0.9684

0.9891

0.9129

2.109**

1.901**

 USA–TUNISIA

0.9395

 − 0.6568

0.5401

0.4901

3.830***

2.810***

 USA–KENYA

0.5323

0.5784

0.6862

0.8351

2.520***

1.813**

  1. The null hypothesis does not increase in correlation. The z-statistics are in parentheses. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels
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